It will not be one .exe but one folder with an .exe plus supporting folders and files (kind of the .exe being the Flash player and the rest including your content being the needed environment)
You can put that whole folder on media (CD, DVD, stick) and it will operate the book without internet connection or browser.
I'm actually preparing a tutorial and will provide some command files that do exactly that job: creating a working book out of a PDF file that optionally runs on a server or from media (as exe).
A first prelimenary "demo" is available as demo package here:
http://www.vservu.de/mz3-tut/t_demo.zip (big! 56 MB;
containing everything including the sample data and MegaZine3 2.0.8dev as pretty new build)
With a prelimenary tutorial here:
http://www.vservu.de/mz3-tut/index_mz3_tutorial.html#/24Not finally tested yet, and only in German so far ;-)!!
But there is an outdated video (bad quality) in English available that nevertheless might help:
http://www.vservu.de/mz3-tut/t_demo_en.mp4When you run the command file as explained in the video, it will create a demo book prepared for a copy on CD.
So that might give you some guidelines. Otherwise you have to wait until that tutorial is available officially ;-)